Porovnat metody

	Bayesovský model ARCH	Model ARCH (Autoregresivní podmíněná heteroskedasticita)
Obor	Ekonometrie	Ekonometrie
Rodina	Regression model	Regression model
Rok vzniku	1982 (ARCH); 1989 (Bayesian estimation)	1982
Tvůrce	Robert F. Engle (ARCH, 1982); Bayesian treatment: John Geweke (1989)	Robert F. Engle
Typ	Volatility model with Bayesian inference	Conditional volatility model
Původní zdroj	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.	Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
Další názvy	Bayesian ARCH, ARCH with Bayesian estimation, Bayesian conditional heteroskedasticity model, B-ARCH	ARCH, autoregressive conditional heteroskedasticity, Engle ARCH, conditional variance model
Příbuzné	6	6
Shrnutí	The Bayesian ARCH model estimates Engle's Autoregressive Conditional Heteroskedasticity specification within a Bayesian framework. Instead of maximising a likelihood, it combines a prior distribution over the volatility parameters with the data likelihood to obtain a full posterior distribution, providing richer uncertainty quantification than classical maximum-likelihood ARCH.	The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering.